Export model and textures from CityGML to UE4 through Blender
Ok I finally figured out this issue. The problem was that I didn't had any material in the material tabs, so there was nothing to bake. I had to go through other programs to convert properly the cityGML files before to bake them in blender. I had to use Autodesk Infraworks and FME cityGML importer to get there. It works at least for me with the models I got from Rotterdam.

Here is my workflow:


Download the model from the website in cityGML format, thematic classes: buildings, textures: RhinoCity texturing.
FME quick translator: run CityGML to IMX workspace and convert it to a .imx file.
Open Infraworks and import the .imx file, then export it to FBX (uncheck merge textures toggle and do not export the ground).


Then in Blender I can open the FBX that contains the materials and textures ready for baking. Clear parents and keep transformations with alt+P, group meshes with ctrl+J. Create a new UV map, a new texture image, unwrap (smart UV project) and finally bake the textures.
Use the baked image as a new material, and the texture is mapped on the UV map created. I exported the file in FBX and the import in UE4 is very smooth. It looks great!

It works very well this way, hope that it can help someone else!